Requirements :
Technical Skills
• Several years relevant experience arising in ALM/product development/ product control/ ALM or structuring. Must be fully proficient with the range of market instruments for hedging and be able to construct hedges using variety of instruments to remove risk.
• Ability to price (from first principles) interest rate swaps, caps, floors, and swaptions. Full understanding of factors affecting option prices.
• Expert understanding of pipeline risk, prepayment risk, option adjusted spread methodologies.
• Expert understanding of NII simulation, Market Value, Earnings at Risk, Value at Risk and the application of stochastic processes, including Monte Carlo analysis of interest rates and other indices.
• Strong discipline and experience of model development, validation and documentation
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